The xfce4-panel in the latest Xfce 4.2.1 release contains a bug: It does not save its configuration on session logout. The Xfce Debian package already contains a fix for this bug, so you don't need to worry about it. If you have installed from the graphical installer or plan to install from the graphical installer, follow these steps to fix the bug:

This also fixes a possible crash in xfce4-session when testing a splash engine. Now follow the usual installation instructions from the installer documentation.

In case, you installed Xfce 4.2.1 from source, untar the xfce4-panel-4.2.1.tar.gz file again, download the patch xfce4-panel-4.2.1-store-config.patch, cd xfce4-panel-4.2.1, patch -Np1 < /path/to/xfce4-panel-4.2.1-store-config.patch and afterwards run configure, make and make install as usual.